Rates: New Reference Rate : Add new FROs to FpmlRatesReferenceRate.json and FpmlRatesReferenceAndInflationRate.json codesets

[msurop]

ISDA has distributed the publication to advise of the inclusion of four (4) new Floating Rate Options.

• CAD-CORRA Compounded Index
• EUR-EuroSTR FTSE Term
• GBP-SONIA FTSE Term
• USD-TBILL Auction High Rate

These new Floating Rate Options were added to the FpML list, and the official names are confirmed as detailed in Change Details section. The DSB is obliged to ensure that the list of Reference Rates available as underlier for Rates and Other Asset Classes products in the DSB are kept in line with the FpML Scheme Definition: floatingRateIndexScheme and so it is necessary to add these new values to JSON Codesets where these values are maintained.

• FpmlRatesReferenceRate.json
• FpmlRatesReferenceAndInflationRate.json

This update will indirectly impact all templates within the RATES and OTHER Asset Classes that include a Reference Rate as an Underlying.